No. Whether you’re using Cloudflare or not, you can use Accelerated Domains.

As Accelerated Domains is built on Cloudflare, this means that you will get many of the Enterprise features that Cloudflare provides, without the need to have your domains DNS in Cloudflare.

Do you however have your domain on Cloudflare already and wonder how this should be set up. Then we have an article describing how this should look in Cloudflare DNS here.